PRIFYSGOL BANGOR
BANGOR UNIVERSITY
ARHOLIADAU DIWEDD SEMESTER 1
JANUARY 2014
END OF SEMESTER 1 EXAMINATIONS
JANUARY
2014
YBB GRADD MEISTER
BBS MASTER’S DEGREES
AMSER A GANIATEIR:
2 AWR
TIME ALLOWED:
2 HOURS
ASB4601- Research Methods
NI CHANIATEIR CYFRIFIANELLAU Y GELLIR EU RHAGLENNU
NO PROGRAMMABLE CALCULATORS ARE PERMITTED.
ALL QUESTIONS CARRY EQUAL MARKS
All questions carry equal marks
Answer ALL FIVE Questions
ANSWER ALL FIVE QUESTIONS
Question 1
I. Given the dataset: 20,10,40,20,10,50,60,20,30,40,50,90,20,30,50 calculate the min, max, mode, median and mean.(20%)
II. Draw a boxplot with inner and outer fence (20%)
III. For the data in part (i), if the value 60 was replaced by 1000, what would you call this value in the dataset? What could be the explanation for such an extreme value?(20%)
IV. What would be the new values for the three measures of central location calculated in (i). Comment on the differences (20%)
V. Calculate the standard deviation for this specific sample as well as infer the standard deviation for the population from which the data are drawn. Discuss the difference in the two results.(20%)
Question 2
A Portfolio consists of five investment products. The expected return of each investment, in million GPB, is normally distributed as follows: Investment I ~ N(80, 16); Investment II ~ N(90, 25); Investment III ~ N(60, 9); Investment IV ~ N(50, 4); Investment V ~ N(10, 1); The returns from the five investments are independent.
I. Find the distribution of the total Portfolio return. Report the mean, the variance and the standard deviation. (30%)
II. If the total return exceeds 300 million GPB, a bonus will be given. What is the probability that this bonus won’t be given? (35%)
III. If the total return is less than 290 million GPB, the client will look for other firms to handle his money in the future. What is the probability that the firm will keep this customer? (35%)
Question 3
The following data are the Years_of_Experience of the brokers in an investment firm, and the Annual_Return_Rates they achieve for whatever funds they control.
Experience (in years)
5
10
15
15
20
25
30
30
20
20
Annual_Return_Rates (%)
1
1
3
4
5
6
8
9
5
6
I. Plot the Annual_Return_Rates against Years_of_Experience and fit a straight regression model to the data. (20%)
II. Plot the residuals from the model against Years_of_Experience. What does this say about the fitted model? (20%)
III. What percentage of variation in Annual_Return_Rates is explained by the regression relationship? (20%)
IV. if we are about to hire a new trader with 35 years of experience, what would be the expected Annual_Return_Rates for him/her? (20%)
V. How is it possible to have three traders with the same years of experience (20) and different performance?
Question 4
The following Stata output refers to a regression for the determinants of the return on
assets for a sample of 100 banks in a particular year. The variable definitions are as follows.
Food Chain and Food Web (Ecosystem) EVS, B. Pharmacy 1st Year, Sem-II
PRIFYSGOL BANGORBANGOR UNIVERSITYARHOLIADAU DIWEDD SEM.docx
1. PRIFYSGOL BANGOR
BANGOR UNIVERSITY
ARHOLIADAU DIWEDD SEMESTER 1
JANUARY 2014
END OF SEMESTER 1 EXAMINATIONS
JANUARY
2014
YBB GRADD MEISTER
BBS MASTER’S DEGREES
AMSER A GANIATEIR:
2 AWR
TIME ALLOWED:
2 HOURS
ASB4601- Research Methods
NI CHANIATEIR CYFRIFIANELLAU Y GELLIR EU
RHAGLENNU
NO PROGRAMMABLE CALCULATORS ARE PERMITTED.
ALL QUESTIONS CARRY EQUAL MARKS
All questions carry equal marks
Answer ALL FIVE Questions
2. ANSWER ALL FIVE QUESTIONS
Question 1
I. Given the dataset:
20,10,40,20,10,50,60,20,30,40,50,90,20,30,50 calculate the min,
max, mode, median and mean.(20%)
II. Draw a boxplot with inner and outer fence (20%)
III. For the data in part (i), if the value 60 was replaced by
1000, what would you call this value in the dataset? What could
be the explanation for such an extreme value?(20%)
IV. What would be the new values for the three measures of
central location calculated in (i). Comment on the differences
(20%)
V. Calculate the standard deviation for this specific sample as
well as infer the standard deviation for the population from
which the data are drawn. Discuss the difference in the two
results.(20%)
Question 2
A Portfolio consists of five investment products. The expected
return of each investment, in million GPB, is normally
distributed as follows: Investment I ~ N(80, 16); Investment II
~ N(90, 25); Investment III ~ N(60, 9); Investment IV ~ N(50,
4); Investment V ~ N(10, 1); The returns from the five
investments are independent.
I. Find the distribution of the total Portfolio return. Report the
mean, the variance and the standard deviation. (30%)
II. If the total return exceeds 300 million GPB, a bonus will be
given. What is the probability that this bonus won’t be given?
(35%)
III. If the total return is less than 290 million GPB, the client
will look for other firms to handle his money in the future.
What is the probability that the firm will keep this customer?
(35%)
Question 3
3. The following data are the Years_of_Experience of the brokers
in an investment firm, and the Annual_Return_Rates they
achieve for whatever funds they control.
Experience (in years)
5
10
15
15
20
25
30
30
20
20
Annual_Return_Rates (%)
1
1
3
4
5
6
8
9
5
6
I. Plot the Annual_Return_Rates against Years_of_Experience
and fit a straight regression model to the data. (20%)
II. Plot the residuals from the model against
Years_of_Experience. What does this say about the fitted
model? (20%)
III. What percentage of variation in Annual_Return_Rates is
explained by the regression relationship? (20%)
IV. if we are about to hire a new trader with 35 years of
experience, what would be the expected Annual_Return_Rates
for him/her? (20%)
V. How is it possible to have three traders with the same years
4. of experience (20) and different performance?
Question 4
The following Stata output refers to a regression for the
determinants of the return on
assets for a sample of 100 banks in a particular year. The
variable definitions are as follows:
roa = percentage return on assets
lasset = natural logarithm of asset value (in £ billions)
list = 1 if the bank is stock market-listed, 0 otherwise.
I.
(60%) Interpret and explain the importance and the information
we get from the following results from the Stata output:
i) Coefficients on lasset and list. (10%)
ii) t-statistics and p-values of the coefficients on lasset and list.
(10%)
iii) R-squared and the Adj R-squared (10%)
iv) Root MSE (= standard error of the regression). (10%)
v) The F-statistic (10%)
vi) What is the meaning of the constant _cons in this model?
(10%)
II.
What is the expected return on assets for a non-listed bank with
an asset value of £20 billion? (40%)
Question 5
A financial firm based in US allocates the number of Analysts
according to the sum (in million $) meant to be invested in two
different sectors: real estate and foreign exchange.
The following MS Excel output refers to three regression
models for the determinants of the number of Analysts:
5. Model#1
Model#2
Model#3
I. For the first model, draw the plot of the residuals and discuss
what you can get from this plot (20%)
II. Describe and discuss the meaning of each of the statistics
(each and every number) in the second and third model. (20%)
III. Highlight any problems that require possibly further
statistical analysis in each of the three models (20%)
IV. Which model would you select and why? (10%)
V. What is the intuition behind the construction (selection of
variables) of each of these three models? (30%)
ASB-4601/4801
RESEARCH METHODS
FORMULA SHEET
Expectation, variance, covariance and correlation:
å
=
n
x
x
i
å
35. Table 2
0
t
0
t
Critical values for the t distribution for various
probability levels (() and degrees of freedom (()
((
((
0.25
0.2
0.15
0.1
0.05
0.025
0.01
0.005
65. 1
-
n
+
=
c
, where z = standardized normal deviate shown in the bottom
row of the table.
Table 4a
Critical values for the F distribution, (=0.01, degrees of
freedom = (1, (2
Example
For (1=4, (2=20, prob(F>4.43) = 0.01
(1(
(2(
1
2
3
4
5
6